Summary: |
| A class of contribution values for pairs of random variables is introduced as a technical tool for the problem how the risk capital needed for a portfolio of random activities should be allocated to it’s components. The well known allocation model with expected shortfall as corresponding risk value is a prominent member of this class. Our contribution values also apply to premium calculation within a portfolio of dependent (re-)insurance contracts. |
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| Date: 30 May - Time: 8:30 to 10:00 - Room: 251 |
| Theme: 1.A. Stochastic dependence |
